Multiple stochastic volatility extension of the Libor market model and its implementation

Denis Belomestny, Stanley Mathew, John Schoenmakers. Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Meth. and Appl., 15(4):285-310, 2009. [doi]

Authors

Denis Belomestny

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Stanley Mathew

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John Schoenmakers

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